So sánh phương pháp

	Mô hình VAR Ngưỡng và VAR Chuyển đổi Mượt (TVAR / STVAR)	Kiểm định ARCH-LM về sự tập trung của phương sai	Exponential GARCH (EGARCH)	Mô hình Chuyển đổi Chế độ Markov (MS-AR / MS-VAR)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model	Regression model	Regression model
Năm ra đời	1998	1982	1991	1989
Người khởi xướng	Tsay (multivariate threshold modelling)	Robert F. Engle	Nelson	Hamilton (1989); Kim & Nelson (1999)
Loại	Nonlinear multivariate time-series model	Lagrange multiplier diagnostic test for conditional heteroscedasticity	Conditional volatility model (asymmetric GARCH variant)	Regime-switching time series model
Công trình gốc	Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202.	Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Tên gọi khác	TVAR, STVAR, regime-switching VAR, threshold VAR	ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Liên quan	5	6	4	5
Tóm tắt	Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.	The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.